such policies. A typical industry practice consists in using fund mapping regressions to represent basis risk stemming from …

overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of … empirical distribution or a theoretical distribution (mitigating estimation risk). All computational results are reported for … theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment …

is the unhealthy retiree with a short life expectancy more likely to appreciate the pooling of longevity risk? What if … longevity risk pooling by linking the economics of annuity equivalent wealth (AEW) to actuarial models of aging. I focus …

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …

complex dynamics, decision theory and behavioural economics. We show that widespread use of extrapolative expectations by …

Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with … copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss … how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and …

to reconcile this fact with Merton's theory of optimal portfolio selection for wealth maximising agents. In this paper we …. Under the assumption that the market price of risk is proportional to volatility, we can derive closed form expressions for …

controlling tail risk to reduce drawdowns thus increasing possibilities of achieving long-term objectives. Recently, so called … mitigate tail risk and produce better risk-adjusted returns. Essentially these are rule-based backward looking strategies in … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and …